Starlord2222
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trend / momentum and other patterns in financial timeseries
Time Series Prediction of Volume in LOB
This repository contains the customized trading algorithms that I have created using the Quantopian IDE.
Complex Network approach on how to understand Stock Market.
Deep and conventional community detection related papers, implementations, datasets, and tools.
Clustering algorithm based on the correlation matrix, used in my Master's thesis
A Python app and ML model that predicts spot prices for the Nordpool FI market.
Stochastic volatility models and their application to Deribit crypro-options exchange
Delta hedging under SABR model
Common financial technical indicators implemented in Pandas.
Student project to develop and backtest a quantitative trading strategy and benchmark it against the S&P500 returns
In this repository I document my learnings from the course on Udemy - udemy.com/course/credit-risk-modeling-in-python/
Basel III Credit Risk model with Python
The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to manage, clean and match highfrequency trades and quotes data. …
Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod…
Options backtesting model that uses Black-Scholes options pricing model to price the option 3% above or below (for call or put) current price as well as the option $5 further OTM of the first strik…
Tools for stock options trading: finding best cash covered put and covered call to see, find best call to buy, etc. Keywords: Implied Volatility, Stock Options, Annualized Rate of Return
Market making strategies and scientific papers
Repo for Crypto Option Calibration project in CMF
High Frequency Trading Price Prediction using LSTM Recursive Neural Networks
Machine learning for high frequency bitcoin price prediction
PyTorch-based framework for Deep Hedging
Personal Project that implements a variety of HFT strategies in C++